Most of the time in the movies you will see hero FX shots containing firey explosions that are stock footage, rather than CG. Whereas every other element in that shot may be CG.
The reason for this is explosions are particularly hard to recpliate in 3D due to their organic and chaotic nature. They are not a solid surface so you cannot model them, they act extremely chaotic and react to everything and unlike clouds they are not a puffy soft surface that doesn't move plus they have a very distinct 'style' that is required to be conceived as an actual explosion.

So most scenarios in film, fire is shot seperately and composited in and it's rarely ever a case where 3D fire is required, although this sometimes can limit things such as the amount of interaction the actors and cg elements may have with it on top of other things.

Previously I wrote a fairly basic tutorial just outlining how to make fairly basic but quick rendering CG explosions with Afterburn for Max. That tutorial was focused on the octane shader, whereas this tutorial will use the raymarcher shader allowing for much more complexity.

Basic setup and particles

First of all load 3D studio max up, before we can make a firey explosion we need to create the particles so go to the particles create menu and create a parray particle system.

Now drag it out into the viewport, now go back up to primitives and create a sphere. with a radius of about 13. We need this sphere so the particles have something to emit from. Select the particle system and with the particle system selected click on the modify panel so you can modify it's settings.